Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste ARCH-LM para Agrupamento de Volatilidade× | Teste de White para Heteroscedasticidade× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1982 | 1980 |
| Autor original≠ | Robert F. Engle | Halbert White |
| Tipo≠ | Lagrange multiplier diagnostic test for conditional heteroscedasticity | General test for heteroskedasticity |
| Fonte seminal≠ | Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. DOI ↗ | White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. DOI ↗ |
| Outros nomes≠ | ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity | White's general heteroskedasticity test, White değişen varyans testi |
| Relacionados≠ | 6 | 3 |
| Resumo≠ | The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model. | The White test, introduced by Halbert White in 1980, is a general test for heteroskedasticity that makes no assumption about its functional form. It regresses the squared OLS residuals on the regressors, their squares, and their cross-products, so it can detect heteroskedasticity related to any of these terms. The same 1980 paper introduced the heteroskedasticity-consistent ('White') standard errors that are the standard remedy when the test rejects. |
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